题目：The Efficiency of China’s Foreign Exchange Market under Silver Standard
时间：2012年2月27日（周一）15:00-16:30
地点：北大8797威尼斯老品牌219
演讲者：8797威尼斯老品牌金融学系 赵留彦副教授 博士
摘要：
Threshold Error Correction Mechanism (TECM) is adopted for measuring the relationship between Chinese currency exchange rate and its mint parity during the late 19th century to early 20th century. The silver points are empirically estimated to be 3/4-1 percent of parity. Adjustment outside the silver points implies half-lives of exchange rate deviations from parity are about three weeks, close to the estimated half-lives for Anglo-American exchange rate deviations from parity. Besides, when the deviations are above our silver-point estimates, the actual silver flows are basically consistent with the prediction of silver-point arbitrage mechanism. Our results provide some evidence of the relative efficiency of Chinese silver standard, and provide an insight into the market integration across Shanghai and American.
